Economists often use matched samples, especially when dealing with earnings data where a number of missing observations need to be imputed. In this paper, we demonstrate that the ordinary least squares estimator of the linear regression model using matched samples is inconsistent and has a...

We estimate intergenerational income mobility in the USA and Sweden. To measure the degree to which income status is transmitted from one generation to another we propose a nonparametric estimator, which is particularly relevant for cross-country comparisons. Our approach allows...

We estimate intergenerational income mobility in the USA and Sweden. To measure the degree to which income status is transmitted from one generation to another we propose a nonparametric estimator, which is particularly relevant for cross-country comparisons. Our approach allows...

This paper proposes a nonparametric regression using asymmetric kernel functions for nonnegative, absolutely regular processes, and specializes this technique to estimating scalar diffusion models of spot interest rate. We illustrate the advantages of asymmetric kernel estimators for bias...

We propose a new methodology for estimating the demand and cost functions of differentiated products models when demand and cost data are available. The method deals with the endogeneity of prices to demand shocks and the endogeneity of outputs to cost shocks, but does not require instruments...

Two classes of multiplicative bias correction (“MBC”) methods are applied to density estimation with support on [0,∞). It is demonstrated that under sufficient smoothness of the true density, each MBC technique reduces the order of magnitude in bias, whereas the order of magnitude in...

This paper proposes an asymmetric kernel-based method for nonparametric estimation of scalar diffusion models of spot interest rates. We derive the asymptotic theory for the asymmetric kernel estimators of the drift and diffusion functions for general and positive recurrent processes and...

This paper considers a nonstandard kernel regression for strongly mixing processes when the regressor is nonnegative. The nonparametric regression is implemented using asymmetric kernels [Gamma (Chen, 2000b), Inverse Gaussian and Reciprocal Inverse Gaussian (Scaillet, 2004) kernels] that possess...

The two most popular bandwidth choice rules for kernel HAC estimation have been proposed by Andrews (1991) and Newey and West (1994). This paper suggests an alternative approach that estimates an unknown quantity in the optimal bandwidth for the HAC estimator (called normalized curvature) using...

Policy makers typically interpret positive relations between venture capital investments and innovations as an evidence that venture capital investments stimulate innovation ('VC-first hypothesis'). This interpretation is, however, one-sided because there may be a reverse causality that...